Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 2 | 2 |
| Score | -3.48 | -4.35 | -6.07 |
| Market Cap (Millions USD) | 6026.62 | 5349.91 | 5503.16 |
| Predicted Beta | 0.32 | 0.32 | 0.34 |
| Idiosyncratic Volatility | 1.61 | 1.55 | 2.28 |
Annualized return and volatility
| EZU | |
|---|---|
| Annualized Return | 0.0279 |
| Annualized Std Dev | 0.2502 |
| Annualized Sharpe (Rf=0%) | 0.1115 |
Row
Daily Return Statistics
| EZU | |
|---|---|
| Observations | 4965.0000 |
| NAs | 149.0000 |
| Minimum | -0.1151 |
| Quartile 1 | -0.0067 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1461 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | 0.0226 |
| Kurtosis | 8.1803 |
Downside Risk
| EZU | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.6532 |
| Historical VaR (95%) | -0.0244 |
| Historical ES (95%) | -0.0380 |
| Modified VaR (95%) | -0.0230 |
| Modified ES (95%) | -0.0326 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2018-01-12 | -0.6532 | 2613 | 348 | 2265 |
| 2000-08-17 | 2002-10-09 | 2005-03-04 | -0.5283 | 1162 | 546 | 616 |
| 2018-01-29 | 2018-12-24 | NA | -0.2599 | 490 | 233 | NA |
| 2006-05-11 | 2006-06-13 | 2006-09-28 | -0.1508 | 99 | 23 | 76 |
| 2007-07-18 | 2007-08-16 | 2007-10-09 | -0.1370 | 60 | 22 | 38 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EZU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | -0.8 | 0.0 | 0.0 | 0.2 | 0.1 | 0.0 | -0.5 |
| 2001 | 0.1 | -0.8 | 0.0 | 0.7 | -0.2 | 0.0 | 1.3 | 0.0 | -0.9 | 2.1 | 0.0 | 0.0 | 2.2 |
| 2002 | -0.2 | 1.4 | 1.2 | 0.4 | 0.0 | -0.1 | -4.6 | 0.0 | 3.9 | 1.6 | 0.0 | 0.0 | 3.6 |
| 2003 | 0.0 | 0.0 | 2.4 | 0.2 | 0.0 | 0.2 | 0.2 | 0.0 | 2.0 | 0.0 | 1.0 | 0.0 | 6.1 |
| 2004 | 0.0 | 1.0 | 1.1 | 0.0 | -0.8 | -1.6 | 0.0 | 0.4 | 2.0 | 0.0 | 1.7 | 0.0 | 3.8 |
| 2005 | 1.1 | 0.4 | -0.9 | 0.0 | 0.2 | -0.1 | 1.0 | 1.3 | 0.0 | 0.2 | 1.6 | 0.0 | 4.8 |
| 2006 | 0.5 | 1.0 | 0.0 | -0.3 | 0.8 | 0.0 | -0.5 | 0.7 | 0.0 | 0.3 | -0.5 | 0.0 | 1.9 |
| 2007 | 0.6 | -1.8 | 0.0 | 0.7 | 0.3 | 0.0 | -0.2 | 0.0 | 1.3 | -2.4 | 0.0 | 0.0 | -1.6 |
| 2008 | 1.7 | 0.0 | 3.1 | 1.1 | 0.0 | -1.0 | -1.5 | 0.0 | -0.9 | 0.0 | -8.5 | 0.0 | -6.3 |
| 2009 | 0.0 | 0.0 | 2.4 | 1.0 | 2.2 | 1.7 | 0.0 | -3.2 | -3.2 | 0.0 | 2.4 | 0.0 | 3.2 |
| 2010 | 2.0 | 1.2 | 1.8 | 0.0 | -1.6 | 2.5 | 0.0 | 4.1 | 0.8 | -0.9 | 3.8 | 0.0 | 14.3 |
| 2011 | 2.8 | -1.8 | 1.1 | 0.0 | -2.9 | 1.2 | -2.5 | -1.9 | 0.0 | -5.3 | -0.9 | 0.0 | -9.9 |
| 2012 | 2.1 | 1.7 | 0.0 | 0.8 | -2.8 | 0.0 | -0.1 | 0.0 | 1.1 | 1.2 | 0.0 | 0.0 | 4.0 |
| 2013 | 1.6 | -0.6 | -0.6 | -0.7 | 0.0 | 1.1 | 1.5 | 0.0 | 1.2 | -0.6 | 0.0 | 0.0 | 2.9 |
| 2014 | 0.0 | 0.0 | 1.1 | 0.1 | 0.0 | 0.8 | -1.0 | 0.0 | -1.1 | 0.0 | -0.2 | 0.0 | -0.4 |
| 2015 | 0.0 | 0.0 | 1.0 | 1.2 | -0.3 | 0.8 | 0.0 | -2.4 | -0.2 | 0.0 | 0.3 | 0.0 | 0.3 |
| 2016 | -0.2 | 3.2 | -0.8 | 0.0 | 2.9 | 0.1 | -1.1 | 0.8 | 0.0 | -0.5 | -0.4 | 0.0 | 3.8 |
| 2017 | 0.2 | 1.5 | 0.0 | 0.6 | 0.8 | 0.0 | 0.7 | 0.2 | 0.0 | 0.3 | -0.7 | 0.0 | 3.7 |
| 2018 | 0.3 | -1.1 | 0.0 | -0.3 | 0.7 | 0.0 | -0.6 | 0.0 | 0.0 | 1.6 | 0.0 | 0.0 | 0.4 |
| 2019 | 0.1 | 0.9 | 1.3 | -0.6 | 0.0 | 0.2 | -0.3 | 0.0 | -0.9 | 0.7 | 0.0 | -0.1 | 1.2 |
Row
Rolling Performance Chart
Snail Trail Chart
